http://www.econ.duke.edu/~get/browse/courses/342/spr01/342s01.htm
Outline from Previous Year
Spring 2000: http://www.econ.duke.edu/~get/courses/342/spr00/342s00.htm
This course is the second course in econometrics for Ph.D. students at Duke. It is open only to Ph.D. students in Economics at Duke, except with special permission of the instructor. The prerequisite is Economics 341.
The final grade is based on a midterm examination (20%), an empirical project (25%), a final examination (40%), and problem sets (15%). In addition, students are expected to attend a reasonable number of the seminars of faculty job applicants and the Triangle Econometrics Seminar.
Project:
The empirical project should be based on a published study. Your task is to collect similar data used to that used in the published study and either confirm or refute the findings of the published study. There are many fine data sources on the web; under no circumstances are you to send e-mail to the author(s) asking for the data. The empirical project must use some of the tools developed over the semester, and, in particular, it must utilize more sophisticated tools than OLS. The project will be due the last day of class.
NEWS: Course news items will be posted here.
ASSIGNMENTS: Assignments in .pdf formal will be posted here.
EXAMS: Previous exams in .pdf formal will be posted here.
[Greene]
Greene, William (2000), Econometric Analysis, 4th Edition, Prentice Hall.[Amemiya]
Amemiya, Takeshi (1985), Advanced Econometrics, Harvard University Press.[Baltagi]
Baltagi, Badi (1999), Econometrics, Springer-Verlag.[Hamilton]
Hamilton, James (1994), Time Series Analysis, Princeton University Press.[Newey and McFadden]
Newey, Whitney, and Daniel McFadden (1994) Chapter 36 of the Handbook of Econometrics, Volume 4, North Holland.[Wooldridge]
Wooldridge, Jeffrey, (1994) Chapter 45 of the Handbook of Econometrics, Volume 4, North Holland.The main text is Greene. The others are alternative treatments of varying levels of difficulty.
The department has a full-fledged suite of software available for your use. See http://www.econ.duke.edu/~compteam/ .
There are many excellent sources of data on the web. Some good starting points are:
http://finance.yahoo.com, http://chart.yahoo.com/d: Excellent sources for historical financial data.
http://nber.org: National Bureau of Economic Research. Links to many useful economics web sites along with useful historical statistics.
http://www.econ-datalinks.org: Web site of the Business and Economic Statistics Section of the ASA. It contains links to many useful data sources for economics and business.
(From Economics 341; students are expected to do this review on their own.)
Basic Toolkit: Greene 3.1-3.9, 4.1-4.9
Other Treatments: Davidson and Mackinnon Chapters 4, 5, 8, 9; Hamilton Chapter 14; Newey and McFadden Sections 2.1-2.4 and 3.1-3.2; Baltagi Chapters 1, 2; Amemiya Chapter 3
Panel data models: Greene 14.1-14.2
Fixed effects and random effects models: Greene 14.3-14.4
Covariance estimation and dynamics: Greene 14.5-14.8
Other Treatments: Davidson and Mackinnon Chapter 9; Baltagi Chapter 10
Seemingly Unrelated Systems (SUR): Greene 15.1-15.4
Nonlinear Systems, GLS, and GMM: Greene 15.7
Other Treatments: Davidson and Mackinnon; Section 9.7; Baltagi Chapter 10
Identification and related issues: Greene 16.1-16.3
LIML, two-stage and three-stage least squares: Greene 16.4-16.9
Other Treatments: Davidson and Mackinnon Section 18; Baltagi Chapter 11
Specification and Estimation: Greene 11.5-11.6; .1-16.3
Other Treatments: Davidson and Mackinnon Chapter 17; Hamilton Chapter 14
Dynamic Regression Models: Greene 17.1-17.4
VARs: Greene 17.5
Other Treatments: Hamilton Chapter 11; Davidson and Mackinnon Chapter 19
Stationary and nonstationary processes: Greene 18.1-18.3
Cointegration: Greene 18.4
GARCH: Greene 18.5
Other Treatments: Hamilton Chapters 15-19; Davidson and Mackinnon Chapter 20
Binary Models: Greene 19.1-19.4
Multinomial and Count Models: Greene 19.7-19.9
Other Treatments: Davidson and Mackinnon; Sections 15.1-15.5; Baltagi Chapter 13.1-13.10
Censoring and truncation: Greene 20.1-20.3
Other Treatments: Davidson and Mackinnon; Sections 15.6-15.7; Baltagi Chapter 13.11-13.12